Basket CDS pricing with default intensities using a regime-switching shot-noise model

DOI10.1080/03610926.2017.1376087OpenAlexW2752827696MaRDI QIDQ5154090

Jie Guo, Yinghui Dong, Guo-jing Wang

Publication date: 1 October 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1376087

zbMATH Keywords

regime-switchingshot-noise processdefault intensitybasket CDS

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (1)

Basket credit derivative pricing in a Markov chain model with interacting intensities

Cites Work

• A Markov copula model with regime switching and its application
• Partial differential equation pricing method for double-name credit-linked notes with counterparty risk in a reduced-form model with common shocks
• Pricing basket default swaps in a tractable shot noise model
• Basket CDS pricing with interacting intensities
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• Regime-switching shot-noise processes and longevity bond pricing
• A contagion model with Markov regime-switching intensities
• On the default probability in a regime-switching regulated market
• On a reduced form credit risk model with common shock and regime switching
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model

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